Creating a back adjusted continuous price series from log returns

There are many ways of doing this. You need to decide what your strategy is
for rolling the contracts (vol crossover, OI crossover, expiration, 10 days
before expiration, first notice date, etc.).

Look here for a basic idea about how to do this:
http://github.com/armstrtw/RCommodity

<http://github.com/armstrtw/RCommodity>-Whit


On Fri, Nov 27, 2009 at 9:52 AM, Wob Wu <wobwu22 at yahoo.de> wrote:

I am trying to create a continuous daily futures contract time series. I've
already calculated the log returns for this series and want to create an
artificial price series starting with the most recent price (the one with
the latest date).
Basically I am trying to create a price series with the following logic:

p(-1) := exp(ln(p(0)) - r)

I have got p(T) and the log return series r and am trying to create the
price series.

with
p(0) = todays price
p(-1) = yesterdays price
p(T) = the price at time T (current available price)
r = log return between yesterdays price and todays price

Thanks

Wolfgang Wu

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